MRCI's ScenarioSM Study

ScenarioSM Study for July Wheat(KCBT) as of Jan 01, 2015
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		38	38	38	38	38	38	38	38	38	39	39
Closed Higher		19	21	22	17	17	19	15	16	20	19	14
Exceeded High		13	19	15	8	15	14	8	13	15	11	7
Scenario Percentage		68%	90%	68%	47%	88%	74%	53%	81%	75%	58%	50%
Avg Max Increase		7.97%	6.93%	6.55%	9.06%	12.59%	10.82%	16.43%	12.07%	15.86%	16.55%	8.20%
Max Increase		18.50%	17.57%	23.52%	25.31%	60.93%	39.68%	42.27%	37.83%	41.89%	31.56%	15.69%
Avg Days To Max Increase		17	17	14	14	15	18	20	14	13	17	10
Avg Max Decline		-2.29%	-1.72%	-2.41%	-3.26%	-3.00%	-1.52%	-2.96%	-1.98%	-2.02%	-1.76%	-0.22%
Max Decline		-5.38%	-5.73%	-10.23%	-7.13%	-9.54%	-5.86%	-9.79%	-5.67%	-10.53%	-6.89%	-1.66%
Avg Days to Max Decline		15	7	11	13	8	8	12	8	3	4	2
2014 Contract Condition			Yes	Yes				Yes	Yes	Yes
Action			Yes	No				Yes	Yes	Yes

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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		38	38	38	38	38	38	38	38	38	39	39
Closed Lower		19	17	16	21	21	18	23	22	18	20	25
Penetrated Low		13	13	12	16	18	16	20	17	17	18	16
Scenario Percentage		68%	76%	75%	76%	86%	89%	87%	77%	94%	90%	64%
Avg Max Decline		8.71%	8.45%	6.60%	6.74%	5.39%	6.40%	6.17%	6.51%	6.97%	7.51%	4.88%
Max Decline		35.28%	24.67%	14.99%	14.49%	13.11%	12.07%	15.99%	20.20%	24.70%	18.19%	11.26%
Avg Days To Max Decline		14	21	14	19	18	17	18	18	19	11	7
Avg Max Increase		-1.29%	-1.89%	-2.65%	-1.52%	-1.87%	-2.04%	-3.05%	-2.32%	-2.70%	-2.19%	-0.63%
Max Increase		-5.48%	-6.43%	-7.78%	-4.09%	-5.63%	-5.93%	-15.17%	-7.56%	-7.60%	-7.05%	-3.55%
Avg Days to Max Increase		4	11	8	9	8	9	13	11	7	8	1
2014 Contract Condition		Yes			Yes	Yes	Yes				Yes	Yes
Action		Yes			Yes	Yes	No				Yes	Yes
High	754.50	726.25	729.00	750.50	727.75	707.50	650.50	686.50	794.50	815.25	855.50	745.00
Low	697.00	689.75	686.00	711.50	685.00	637.25	599.00	600.75	670.50	723.25	721.50	702.00
Close/Last	714.75	707.75	719.25	723.00	700.50	643.50	602.75	670.50	765.25	812.50	723.00	710.50